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Q1
## [1] "SPY" "QQQ" "EEM" "IWM" "EFA" "TLT" "IYR" "GLD"
## SPY QQQ EEM IWM EFA TLT IYR
## 2010-01-04 86.86004 40.73327 31.82712 52.51541 37.52378 61.13187 28.10298
## 2010-01-05 87.08997 40.73327 32.05812 52.33483 37.55686 61.52666 28.17045
## 2010-01-06 87.15131 40.48758 32.12520 52.28559 37.71560 60.70306 28.15819
## 2010-01-07 87.51921 40.51389 31.93890 52.67137 37.57008 60.80511 28.40971
## 2010-01-08 87.81045 40.84735 32.19225 52.95864 37.86773 60.77792 28.21955
## 2010-01-11 87.93307 40.68063 32.12520 52.74523 38.17861 60.44439 28.35450
## GLD
## 2010-01-04 109.80
## 2010-01-05 109.70
## 2010-01-06 111.51
## 2010-01-07 110.82
## 2010-01-08 111.37
## 2010-01-11 112.85
Q2
## SPY QQQ EEM IWM EFA TLT IYR
## 2010-01-04 86.86004 40.73327 31.82712 52.51541 37.52378 61.13187 28.10298
## 2010-01-05 87.08997 40.73327 32.05812 52.33483 37.55686 61.52666 28.17045
## 2010-01-06 87.15131 40.48758 32.12520 52.28559 37.71560 60.70306 28.15819
## 2010-01-07 87.51921 40.51389 31.93890 52.67137 37.57008 60.80511 28.40971
## 2010-01-08 87.81045 40.84735 32.19225 52.95864 37.86773 60.77792 28.21955
## 2010-01-11 87.93307 40.68063 32.12520 52.74523 38.17861 60.44439 28.35450
## GLD
## 2010-01-04 109.80
## 2010-01-05 109.70
## 2010-01-06 111.51
## 2010-01-07 110.82
## 2010-01-08 111.37
## 2010-01-11 112.85
## SPY QQQ EEM IWM EFA
## 2010-01-15 -0.008117301 -0.015037606 -0.02893481 -0.01301928 -0.003493271
## 2010-01-22 -0.038982872 -0.036859287 -0.05578093 -0.03062148 -0.055740518
## 2010-01-29 -0.016664974 -0.031023466 -0.03357731 -0.02624354 -0.025802908
## 2010-02-05 -0.006798074 0.004440222 -0.02821314 -0.01397445 -0.019054889
## 2010-02-12 0.012938663 0.018148151 0.03333329 0.02952565 0.005244940
## 2010-02-19 0.028692682 0.024451558 0.02445389 0.03343163 0.022994971
## TLT IYR GLD
## 2010-01-15 2.004686e-02 -0.006304557 -0.004579349
## 2010-01-22 1.010050e-02 -0.041785160 -0.033285246
## 2010-01-29 3.369371e-03 -0.008447729 -0.011290465
## 2010-02-05 -5.415438e-05 0.003223953 -0.012080019
## 2010-02-12 -1.946026e-02 -0.007574571 0.022544905
## 2010-02-19 -8.204450e-03 0.050185325 0.022701796
## SPY QQQ EEM IWM EFA
## 2010-02-26 0.03119473 0.04603892 0.017763614 0.04475134 0.002667887
## 2010-03-31 0.06087937 0.07710892 0.081109139 0.08230679 0.063853650
## 2010-04-30 0.01547008 0.02242540 -0.001662062 0.05678444 -0.028045794
## 2010-05-28 -0.07945450 -0.07392369 -0.093935770 -0.07536638 -0.111927783
## 2010-06-30 -0.05174100 -0.05975702 -0.013986659 -0.07743368 -0.020619408
## 2010-07-30 0.06830063 0.07258286 0.109325213 0.06730863 0.116103926
## TLT IYR GLD
## 2010-02-26 -0.003423746 0.05457039 0.032748219
## 2010-03-31 -0.020573759 0.09748504 -0.004386396
## 2010-04-30 0.033218105 0.06388119 0.058834363
## 2010-05-28 0.051083730 -0.05683529 0.030513147
## 2010-06-30 0.057977728 -0.04670140 0.023553189
## 2010-07-30 -0.009462743 0.09404798 -0.050871157
Q3
## Warning: One or more parsing issues, call `problems()` on your data frame for details,
## e.g.:
## dat <- vroom(...)
## problems(dat)
## Rows: 1274 Columns: 4
## ── Column specification ────────────────────────────────────────────────────────
## Delimiter: ","
## chr (1): date
## dbl (3): Mkt-RF, SMB, HML
##
## ℹ Use `spec()` to retrieve the full column specification for this data.
## ℹ Specify the column types or set `show_col_types = FALSE` to quiet this message.
## Warning in lapply(fama_french_data, as.numeric): NAs introduced by coercion
## List of 4
## $ date : num [1:1272] 201002 201003 201004 201005 201006 ...
## $ Mkt-RF: num [1:1272] 3.4 6.31 2 -7.89 -5.57 6.93 -4.77 9.54 3.88 0.6 ...
## $ SMB : num [1:1272] 1.19 1.48 4.87 0.09 -1.82 0.2 -3 3.96 1.14 3.77 ...
## $ HML : num [1:1272] 3.23 2.21 2.89 -2.44 -4.7 -0.31 -1.9 -3.16 -2.43 -0.96 ...
## Warning: One or more parsing issues, call `problems()` on your data frame for details,
## e.g.:
## dat <- vroom(...)
## problems(dat)
## Rows: 1274 Columns: 4
## ── Column specification ────────────────────────────────────────────────────────
## Delimiter: ","
## chr (1): date
## dbl (3): Mkt-RF, SMB, HML
##
## ℹ Use `spec()` to retrieve the full column specification for this data.
## ℹ Specify the column types or set `show_col_types = FALSE` to quiet this message.
## # A tibble: 6 × 4
## date `Mkt-RF` SMB HML
## <chr> <dbl> <dbl> <dbl>
## 1 201001 -3.36 0.4 0.43
## 2 201002 3.4 1.19 3.23
## 3 201003 6.31 1.48 2.21
## 4 201004 2 4.87 2.89
## 5 201005 -7.89 0.09 -2.44
## 6 201006 -5.57 -1.82 -4.7
## Warning: There was 1 warning in `mutate()`.
## ℹ In argument: `date = ymd(parse_date(date, format = "%Y%m"))`.
## Caused by warning:
## ! 99 parsing failures.
## row col expected actual
## 1174 -- date like %Y%m Annual Factors: January-December
## 1176 -- date like %Y%m 1927
## 1177 -- date like %Y%m 1928
## 1178 -- date like %Y%m 1929
## 1179 -- date like %Y%m 1930
## .... ... .............. ................................
## See problems(...) for more details.
## # A tibble: 6 × 4
## date `MKT-RF` SMB HML
## <date> <dbl> <dbl> <dbl>
## 1 2009-12-31 -3.36 0.4 0.43
## 2 2010-01-31 3.4 1.19 3.23
## 3 2010-02-28 6.31 1.48 2.21
## 4 2010-03-31 2 4.87 2.89
## 5 2010-04-30 -7.89 0.09 -2.44
## 6 2010-05-31 -5.57 -1.82 -4.7
Q4 Merge
## date MKT-RF SMB HML SPY QQQ EEM IWM
## 171985 <NA> 23.66 13.18 -46.67 0.04170771 0.06727679 0.002062356 0.0009051669
## 171986 <NA> 23.56 -3.89 25.49 0.04170771 0.06727679 0.002062356 0.0009051669
## 171987 <NA> -21.60 -6.95 25.81 0.04170771 0.06727679 0.002062356 0.0009051669
## 171988 <NA> 21.70 -3.23 -13.58 0.04170771 0.06727679 0.002062356 0.0009051669
## 171989 <NA> NA NA NA 0.04170771 0.06727679 0.002062356 0.0009051669
## 171990 <NA> NA NA NA 0.04170771 0.06727679 0.002062356 0.0009051669
## EFA TLT IYR GLD
## 171985 0.02820615 0.02376793 0.03371758 0.02169283
## 171986 0.02820615 0.02376793 0.03371758 0.02169283
## 171987 0.02820615 0.02376793 0.03371758 0.02169283
## 171988 0.02820615 0.02376793 0.03371758 0.02169283
## 171989 0.02820615 0.02376793 0.03371758 0.02169283
## 171990 0.02820615 0.02376793 0.03371758 0.02169283
## # A tibble: 6 × 12
## date `MKT-RF` SMB HML SPY QQQ EEM IWM EFA TLT
## <date> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 2009-12-31 -3.36 0.4 0.43 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 2 2010-01-31 3.4 1.19 3.23 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 3 2010-02-28 6.31 1.48 2.21 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 4 2010-03-31 2 4.87 2.89 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 5 2010-04-30 -7.89 0.09 -2.44 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 6 2010-05-31 -5.57 -1.82 -4.7 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## # ℹ 2 more variables: IYR <dbl>, GLD <dbl>
Q5
## # A tibble: 6 × 12
## date `MKT-RF` SMB HML SPY QQQ EEM IWM EFA TLT
## <date> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 2019-03-31 3.97 -1.74 2.15 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 2 2019-04-30 -6.94 -1.32 -2.37 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 3 2019-05-31 6.93 0.29 -0.71 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 4 2019-06-30 1.19 -1.93 0.48 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 5 2019-07-31 -2.58 -2.38 -4.78 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## 6 2019-08-31 1.43 -0.96 6.75 0.0312 0.0460 0.0178 0.0448 0.00267 -0.00342
## # ℹ 2 more variables: IYR <dbl>, GLD <dbl>
## Warning: Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
## Unknown or uninitialised column: `RF`.
Q6
## # A tibble: 6 × 7
## QQQ EEM IWM EFA TLT IYR GLD
## <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
## 2 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
## 3 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
## 4 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
## 5 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
## 6 0.0460 0.0178 0.0448 0.00267 -0.00342 0.0546 0.0327
Q7
## # A tibble: 1 × 12
## date `MKT-RF` SMB HML SPY QQQ EEM IWM EFA TLT
## <date> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 NA NA NA NA 0.0417 0.0673 0.00206 0.000905 0.0282 0.0238
## # ℹ 2 more variables: IYR <dbl>, GLD <dbl>
## # A tibble: 1 × 7
## QQQ EEM IWM EFA TLT IYR GLD
## <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 0.0673 0.00206 0.000905 0.0282 0.0238 0.0337 0.0217